Author Archive
с 1.01.07 по 7.08.12
| All trades | Long trades | Short trades | |
| Initial capital | 100000 | 100000 | 100000 |
| Net Profit % | 2523.78% | 1293.23% | 1230.56% |
| Exposure % | 15.95% | 8.69% | 7.26% |
| Net Risk Adjusted Return % | 15823.79% | 14882.79% | 16950.07% |
| Annual Return % | 79.58% | 60.32% | 59.00% |
| Risk Adjusted Return % | 498.94% | 694.20% | 812.75% |
| All trades | 3662 | 1831 (50.00 %) | 1831 (50.00 %) |
| Avg. Profit/Loss % | 0.69% | 0.71% | 0.67% |
| Avg. Bars Held | 37.35 | 40.17 | 34.54 |
| Winners | 2036 (55.60 %) | 979 (26.73 %) | 1057 (28.86 %) |
| Avg. Profit % | 1.80% | 1.95% | 1.66% |
| Avg. Bars Held | 45.47 | 50.43 | 40.87 |
| Max. Consecutive | 52 | 30 | 29 |
| # bars in largest win | 87 | 2 | 87 |
| Losers | 1626 (44.40 %) | 852 (23.27 %) | 774 (21.14 %) |
| Avg. Loss % | -0.70% | -0.73% | -0.68% |
| Avg. Bars Held | 27.2 | 28.38 | 25.89 |
| Max. Consecutive | 10 | 7 | 12 |
| # bars in largest loss | 64 | 64 | 28 |
| Max. trade % drawdown | -9.07% | -8.70% | -9.07% |
| Max. system % drawdown | -4.99% | -5.70% | -5.76% |
| Recovery Factor | 197.49 | 98.8 | 91.58 |
| CAR/MaxDD | 15.93 | 10.58 | 10.24 |
| RAR/MaxDD | 99.89 | 121.77 | 141.06 |
| Profit Factor | 3.2 | 3.09 | 3.34 |
| Payoff Ratio | 2.56 | 2.69 | 2.45 |
| Standard Error | 245680.93 | 117417.15 | 132342.95 |
| Risk-Reward Ratio | 1.95 | 2.12 | 1.74 |
| Ulcer Index | 0.74 | 0.85 | 1.22 |
| Ulcer Performance Index | 99.81 | 64.55 | 43.89 |
| Sharpe Ratio of trades | 7.08 | 6.73 | 7.5 |
| K-Ratio | 0.0086 | 0.0093 | 0.0077 |